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indicate that conclusions may critically hinge on a selectedordering of variables. The dynamic correlation Cholesky …
Persistent link: https://www.econbiz.de/10012250452
innovation to stock return correlation in a vector autoregression are nearly identical to those of a news shock about future … productivity. Thus, market-wide changes in return correlation contain information about changes in future technological …
Persistent link: https://www.econbiz.de/10014227600
propose outlier robust small area methodology that allows for the presence of spatial correlation in the data. In particular …
Persistent link: https://www.econbiz.de/10010486950
Geographically weighted small area methods have been studied in literature for small area estimation. Although these approaches are useful for the estimation of small area means efficiently under strict parametric assumptions, they can be very sensitive to outliers in the data. In this paper, we...
Persistent link: https://www.econbiz.de/10011455039
We study the rank of the instantaneous or spot covariance matrix Σ(t) of a multidimensional continuous semi-martingale X(t). Given highfrequency observations X(i=n), i = 0; : : : ;n, we test the null hypothesis rank (Σ(t)) ≤ r for all t against local alternatives where the average (r + 1)st...
Persistent link: https://www.econbiz.de/10012655380
spatial correlation. The analysis of panel data introduced here allows us to analyze not only the fixed effect but also the …
Persistent link: https://www.econbiz.de/10012059270
Persistent link: https://www.econbiz.de/10003528371
Persistent link: https://www.econbiz.de/10012053317
Recent literature has proposed new methods for measuring the systemic risk of financial institutions based on observed stock returns. In this paper we examine the reliability and robustness of such risk measures, focusing on CoVaR, marginal expected shortfall, and option-based tail risk...
Persistent link: https://www.econbiz.de/10009720895
Persistent link: https://www.econbiz.de/10011883139